Essays about: "Quantitative Backtesting"

Found 3 essays containing the words Quantitative Backtesting.

  1. 1. Backtesting of simulated method for Counterparty Credit Risk

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Love Lundström; Oscar Öhman; [2020]
    Keywords : Counterparty Credit Risk; Risk Factor; Monte Carlo Simulation; Quantitative Backtesting; Statistical Backtesting; OTC Derivative;

    Abstract : After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole in triggering the crisis. This led to the emergence of Counterparty Credit Risk(CCR) which is used to measure the exposure banks have to their counterparties. READ MORE

  2. 2. Volatility and variance swaps : A comparison of quantitative models to calculate the fair volatility and variance strike

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Johan Röring; [2017]
    Keywords : ;

    Abstract : Volatility is a common risk measure in the field of finance that describes the magnitude of an asset’s up and down movement. From only being a risk measure, volatility has become an asset class of its own and volatility derivatives enable traders to get an isolated exposure to an asset’s volatility. READ MORE

  3. 3. Backtesting expected shortfall: A quantitative evaluation

    University essay from KTH/Matematisk statistik

    Author : Johan Engvall; [2016]
    Keywords : ;

    Abstract : How to measure risk is an important question in finance and much work has been done on how to quantitatively measure risk. An important part of this measurement is evaluating the measurements against the outcomes a procedure known as backtesting. A common risk measure is Expected shortfall for which how to backtest has been debated. READ MORE